Effects of Oil Supply News on the Macroeconomy: A Proxy FAVAR Approach in the Korean Economy
Changes in oil prices have been widely regarded by macroeconomists as a key source of economic fluctuations (Blanchard and Gal, 2010;Kim, 2024).Consequently, numerous studies have sought to accurately identify the effects of oil prices on the macroeconomy.In this study, we examine the impact of oil prices on the Korean economy using a proxy FAVAR (Factor-Augmented Vector Autoregression) model.Most research on the impact of oil prices on the macroeconomy employs VAR models, which typically use recursive ordering or sign restrictions to identify structural shocks.However,
Authors
- Myunghyun Kim (ORCID: https://orcid.org/0000-0002-1556-7638)
- Cheol‐Keun Cho (ORCID: https://orcid.org/0000-0001-6210-1657)
Institutions
- University of Ulsan (KR)
- Sungkyunkwan University (KR)
Publication Details
- Journal
- Journal of Economic Integration
- Published
- 2024-10-14
- DOI
- https://doi.org/10.11130/jei.2024042
- Primary Topic
- Market Dynamics and Volatility
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Research Foundation
- Ministry of Education
- Korea Energy Economics Institute
- National Research Foundation of Korea